In this paper, we show that the order of magnitude of the finite sample bias of the GMMld^{(2)} estimator of Bun and …

magnitude of bias of (generalized) MM estimators tends to increase with the number of moment conditions exploited. For various … feedbacks none of the techniques examined dominates. However, a simple bias corrected LS estimator which presupposes strict …

Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo … simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet's bias-corrected LSDV and GMM estimators …

the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias …